The VWAP Envelopes indicator in VolSys allows you to display the VWAP, that is the volume-weighted average price of trades made during a certain period of time and their standard deviations. These last represents a way to measure price volatility relative to the volume-weighted average value. Standard deviations are bands that are drawn above and below the VWAP to identify the average distance of prices from the mean value. Each standard deviation indicates a "band" in the price range, providing traders with an idea of how far price is deviating from the VWAP by going to contextualize Premium and Discount zones.  

The peculiarity of this indicator is that its calculation is not based from midnight but updates the data in a continuous mode replacing the old data with the new one as it goes along.

INDEX

• Settings-of-Use
• General
  • Mode-Period
  • Period Value
  • Evelope Mode
• Envelope
• Series

Use Settings

Clicking on the indicator settings icon will open its configuration window, within which you will be able to make several choices regarding the functionality of the indicator itself.

General

Mode-Period

Allows you to define the reference period for calculating the indicator, specifically you can choose from:

• Days

Show the VWAP of the last n days.

• Minutes

Show the VWAP of the last n minutes.

Using the minute calculation mode gives a shorter period VWAP, allowing you to follow the price and volume movement more closely in the intraday.

Value Period

Defines the value of the period indicated in the previous point.

Evelope Mode

Defines the mode of calculation of the Envelopes, specifically you can choose between:

• Standard Deviation

The calculation of Envelopes is based on standard deviations.

• Price Percentage

The calculation of Envelopes is based on the percentage change in price.

Envelope

In this section you can define the parameter for Envelope calculation.

In the figures below is shown first the VWAP of the last 60 minutes, then the VWAP of the last day, in particular you can see that the latter will coincide with the VWAP provided by the Daily Volume Profile only at the end of the session since its basis of calculation is continuous.

Series

In this section you can change the color and thickness of the VWAP and Envelope lines.

If you want to hide a standard deviation click on Series Style and select Ignore.